Head to the Scratching Post, which is pretty easy to reach just by following the train tracks. You can either pick a fight with the Army deserters or help them fight off the undead, at which point they'll happily give up an Army uniform for you. Marston will automatically change into it.

Head back to Benedict Point via the train tracks to catch up with the U.S. Army. Take out the undead trying to climb onto the train with the soldiers, and you'll automatically climb aboard the train.

The ride to Mexico is short but frantic. Your main worry is avoiding fire from the Retchers along the sides of the tracks, but you're moving fast enough that you shouldn't have too much trouble with that. At the end of the line, though, you're forced to disembark and take out a horde of mixed undead with limited and soon nonexistent support from your "comrades" in the Army. Dispose of them, then release the train's brakes to destroy the barricade.

Mexico isn't quite as immediately lethal as New Austin could be, but the villages require considerably more saving; Chuparosa and Escalera in particular are nearly overrun.

You've got a long haul from the Frontera Bridge to your next stop in Las Hermanas. Your easiest way there is to simply follow the train track, which will get you there with a minimum of encountered undead, although it will take you through Chuparosa.